Time-Series Momentum in the Chinese Commodity Futures Market

29 Pages Posted: 17 Jan 2019

See all articles by Hoon Cho

Hoon Cho

Korea Advanced Institute of Science and Technology (KAIST)

Hyuna Ham

December & Company

Hyeongjun Kim

Korea Asset Management Corporation

Doojin Ryu

Sungkyunkwan University

Date Written: January 7, 2019

Abstract

This study examines time-series momentum in the Chinese commodity futures market. The findings show that a time-series momentum strategy performs best with a one-month look-back period and a one-month holding period. Furthermore, this strategy outperforms passive long and cross-sectional momentum strategies in the Chinese futures market based on Sharpe ratios, risk-adjusted excess returns, and cumulative returns. But highly volatile market characteristic with many speculative investors limits the period in which time-series momentum is maintained. Our findings suggest that the anomaly is observed in international asset markets, including Chinese commodity futures, and support the implication that speculators profit from time-series momentum strategy is the expense of hedgers.

Keywords: China, Commodity, Futures, Momentum, Time-Series

JEL Classification: G12, G13, G15, F37

Suggested Citation

Cho, Hoon and Ham, Hyuna and Kim, Hyeongjun and Ryu, Doojin, Time-Series Momentum in the Chinese Commodity Futures Market (January 7, 2019). Available at SSRN: https://ssrn.com/abstract=3311479 or http://dx.doi.org/10.2139/ssrn.3311479

Hoon Cho

Korea Advanced Institute of Science and Technology (KAIST) ( email )

87 Hoegiro
Dongdaemun-Gu
Seoul 130-722
Korea
+82-2-958-3413 (Phone)

Hyuna Ham

December & Company ( email )

NC Tower I, 15th Floor, 509, Teheran-ro
Seoul, 06169
Korea, Republic of (South Korea)

Hyeongjun Kim

Korea Asset Management Corporation ( email )

40 부산 국제 금융 센터 (BIFC), Munhyeongeumyung-ro, Nam-gu
Busan
Korea, Republic of (South Korea)

Doojin Ryu (Contact Author)

Sungkyunkwan University ( email )

53 Myeongnyun-dong 3-ga Jongno-ju
Guro-gu
Seoul, 110-745
Korea, Republic of (South Korea)

Register to save articles to
your library

Register

Paper statistics

Downloads
99
Abstract Views
411
rank
273,054
PlumX Metrics